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LocalVolatility
  • Member for 5 years, 11 months
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19 votes
Accepted

Finding distribution of $\int_0 ^T uW_u du$

18 votes
Accepted

Arbitrage Free Volatility Smile

16 votes
Accepted

How much can be said about the Greeks without picking a model?

12 votes
Accepted

Prove that the butterfly condition is always greater than zero

11 votes

Two papers - two different solutions of the Ornstein-Uhlenbeck process

10 votes
Accepted

Modeling Call Price w.r.t. Strike w Models that Capture Vol Smile

8 votes
Accepted

Integral of Wiener process w.r.t. time

7 votes
Accepted

Replicate a Portfolio with Given Payoff

7 votes
Accepted

Why must a riskless portfolio earn the risk-free rate?

7 votes
Accepted

Proof of gamma profit formula

7 votes
Accepted

Implied Volatility Surface - log forward moneyness

7 votes

Confusion with volatility smiles implied by different models

6 votes
Accepted

How to perform Monte-Carlo simulations to price Asian options?

6 votes
Accepted

Figure of Stopping and Continuation Region

6 votes
Accepted

Model to Predict the Change in IV of an Option

6 votes
Accepted

CIR Process from Ornstein–Uhlenbeck process

6 votes

Continuous delta hedge formula

6 votes

How do you find variance of a sde?

6 votes
Accepted

BUS/252 accrual - why 252?

6 votes
Accepted

Pricing a double barrier option using Monte Carlo (C++ & Python code included)

6 votes

What is the economic reason for the equality in value of an American call and European call?

5 votes
Accepted

Limits of integration when applying stochastic Fubini theorem to Brownian motion

5 votes
Accepted

Attempt of an analytical proof that a call price decreases as its strike increases

5 votes
Accepted

Riccati Equation in spot rate model

5 votes
Accepted

"Black-Scholes model implies flat implied volatility plots"?

5 votes
Accepted

Analytical Solution for Heston Model

5 votes

Proof that linear returns aggregate across securities

5 votes
Accepted

Is the asset-or-nothing call option in this example valued incorrectly in the Black-Scholes framework?

5 votes

Pricing log-contract with Black-Scholes PDE

5 votes

Price a forward contract on a zero-coupon bond

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